Description Usage Arguments Details Value Author(s) References See Also Examples
Performs hypothesis tests on a single equation on k independent samples of Sharpe ratio.
1 2 3 4 5 6 7 8 | sr_unpaired_test(
srs,
contrasts = NULL,
null.value = 0,
alternative = c("two.sided", "less", "greater"),
ope = NULL,
conf.level = 0.95
)
|
srs |
a (non-empty) list of objects of class |
contrasts |
an array of the constrasts, the a_j values.
Defaults to |
null.value |
the constant null value, the b. Defaults to 0. |
alternative |
a character string specifying the alternative hypothesis,
must be one of |
ope |
the number of observations per 'epoch'. For convenience of
interpretation, The Sharpe ratio is typically quoted in 'annualized'
units for some epoch, that is, 'per square root epoch', though returns
are observed at a frequency of |
conf.level |
confidence level of the interval. |
For 1 <= j <= k, suppose you have n_j observations of a normal random variable with mean mu_j and standard deviation sigma_j, with all observations independent. Given constants a_j and value b, this code tests the null hypothesis
H0: sum_j a_j mu_j/sigma_j = b
against two or one sided alternatives.
See ‘The Sharpe Ratio: Statistics and Applications’, section 3.3.1.
A list with class "htest"
containing the following components:
statistic |
The Wald statistic. |
parameter |
The degrees of freedom of the Wald statistic. |
p.value |
the p-value for the test. |
conf.int |
a confidence interval appropriate to the specified alternative hypothesis. |
estimate |
the estimated equation value, just the weighted sum of the sample Sharpe ratios. Annualized |
null.value |
the specified hypothesized value of the sum of Sharpes. |
alternative |
a character string describing the alternative hypothesis. |
method |
a character string indicating what type of test was performed. |
data.name |
a character string giving the name(s) of the data. |
Steven E. Pav shabbychef@gmail.com
Sharpe, William F. "Mutual fund performance." Journal of business (1966): 119-138. https://ideas.repec.org/a/ucp/jnlbus/v39y1965p119.html
Pav, S. E. "The Sharpe Ratio: Statistics and Applications." CRC Press, 2021.
sr_equality_test
, sr_test
, t.test
.
Other sr:
as.sr()
,
confint.sr()
,
dsr()
,
is.sr()
,
plambdap()
,
power.sr_test()
,
predint()
,
print.sr()
,
reannualize()
,
se()
,
sr_equality_test()
,
sr_test()
,
sr_vcov()
,
sr
,
summary.sr
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 | # basic usage
set.seed(as.integer(charToRaw("set the seed")))
# default contrast is 1,-1,1,-1,1,-1
etc <- sr_unpaired_test(as.sr(matrix(rnorm(1000*6,mean=0.02,sd=0.1),ncol=6)))
print(etc)
etc <- sr_unpaired_test(as.sr(matrix(rnorm(1000*4,mean=0.0005,sd=0.01),ncol=4)),
alternative='greater')
print(etc)
etc <- sr_unpaired_test(as.sr(matrix(rnorm(1000*4,mean=0.0005,sd=0.01),ncol=4)),
contrasts=c(1,1,1,1),null.value=-0.1,alternative='greater')
print(etc)
inp <- list(as.sr(rnorm(500)),as.sr(runif(200)-0.5),
as.sr(rnorm(30)),as.sr(rnorm(100)))
etc <- sr_unpaired_test(inp)
inp <- list(as.sr(rnorm(500)),as.sr(rnorm(100,mean=0.2,sd=1)))
etc <- sr_unpaired_test(inp,contrasts=c(1,1),null.value=0.2)
etc$conf.int
|
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